Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions
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- Christian Francq & Jean-Michel Zakoïan, 2013. "Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 412-425, October.
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More about this item
Keywordsalpha-stable distribution; composite likelihood; GEV distribution; GPD; pseudo-likelihood; quasi-marginal maximum likelihood; stock returns distributions;
All these keywords.
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2012-05-22 (Econometrics)
- NEP-ETS-2012-05-22 (Econometric Time Series)
- NEP-RMG-2012-05-22 (Risk Management)
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